Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0006
Annualized Std Dev 0.1357
Annualized Sharpe (Rf=0%) -0.0041

Row

Daily Return Statistics

Close
Observations 5489.0000
NAs 1.0000
Minimum -0.1442
Quartile 1 -0.0031
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0035
Maximum 0.1772
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0085
Skewness 0.3222
Kurtosis 62.0019

Downside Risk

Close
Semi Deviation 0.0062
Gain Deviation 0.0067
Loss Deviation 0.0075
Downside Deviation (MAR=210%) 0.0113
Downside Deviation (Rf=0%) 0.0062
Downside Deviation (0%) 0.0062
Maximum Drawdown 0.5192
Historical VaR (95%) -0.0110
Historical ES (95%) -0.0204
Modified VaR (95%) -0.0025
Modified ES (95%) -0.0025
From Trough To Depth Length To Trough Recovery
2004-03-10 2008-10-10 NA -0.5192 4288 1157 NA
1999-07-01 2000-03-20 2001-10-05 -0.2273 569 182 387
2001-11-07 2002-03-21 2002-09-09 -0.1176 210 92 118
2003-06-18 2003-09-02 2004-01-22 -0.1110 151 53 98
2002-10-07 2002-10-22 2003-05-22 -0.0987 158 12 146

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 NA NA NA NA -0.4 -0.4 -0.4 -0.4 0 0.9 -2 0.5 -2.2
2000 1.5 -1 0 1.5 0.5 1 1 -0.5 1.9 1 0.5 -0.9 6.7
2001 -0.3 0.1 -0.5 0.2 0.5 1 0.5 0.4 0.1 0.6 0.5 -0.5 2.6
2002 -0.1 0.1 0.9 0.8 0.4 -0.6 0.9 0.5 0.6 0.1 -0.3 1.5 4.8
2003 0.1 0.1 0.6 0.2 0.1 0 0 -0.3 0.9 0.1 -0.3 0.2 1.9
2004 0.3 0.3 -0.2 -0.2 -0.1 0.4 0.1 -0.5 -0.1 0.1 0.3 1.4 1.8
2005 0.3 0 1.1 0.1 0.2 -0.1 -0.3 0.1 0 -0.1 0.8 0.3 2.2
2006 -0.2 -0.1 0.3 0.3 0.2 0.5 0.5 0.7 0 0.1 0.2 0.3 2.8
2007 -0.3 -0.1 0.5 0.3 -0.2 0.3 -0.4 0.2 0.3 0.3 0.3 0.5 1.8
2008 -0.3 -1.8 -0.2 0.6 0.5 0.5 0.3 -0.7 2.3 -1.5 -3.1 0.9 -2.5
2009 0.1 -0.8 0.1 0.6 -0.8 0.3 0.1 0.5 -0.3 -1.2 0.6 0.2 -0.6
2010 0.2 0.2 0.1 -0.1 -0.1 -0.1 0.2 0.7 0.2 0.3 -1.7 1.7 1.6
2011 0.7 -0.1 0.2 -0.3 -0.4 1.2 1.3 1 0.4 0.4 0.5 0.6 5.6
2012 0.1 0.5 0.2 0.4 0.1 -0.1 0.1 0.3 0.6 0 0.5 0.1 2.8
2013 0.1 0.5 -0.8 0.5 -1.7 0.9 -1 -0.4 -0.6 -0.7 0.3 -0.2 -2.9
2014 0.4 0.3 -0.1 0.8 -0.4 -0.7 -0.7 0.2 0.8 -0.2 0.3 0.6 1.4
2015 0.7 0.3 0.3 -0.6 1.2 0.4 0.7 0.2 0.2 0.3 0 0.8 4.6
2016 0.3 0.3 0.5 -0.3 0.9 0.1 0.1 0.2 -0.1 -0.1 -1.1 0.1 0.9
2017 -0.3 -0.2 0.1 0.1 0.1 0.1 0 0.1 -0.1 -0.1 0.5 0.1 0.5
2018 -0.1 -0.1 0.8 0.3 0.1 0 -0.3 0.1 -0.2 0 0.8 0.3 1.8
2019 0.5 0.1 0.1 1 0.2 0 0.1 -0.1 0.3 0.1 0.3 -0.1 2.4
2020 0.2 -0.3 -4.7 0.5 0.3 0.1 0.2 0.6 0.1 -0.1 0.1 0.9 -2.3
2021 0.3 -0.9 -0.1 NA NA NA NA NA NA NA NA NA -0.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-05-26  15   SPY    130.  0.0111 -0.0331   -0.0496   0.0514       NA       NA       NA <NA>     NA    NA       NA
2 1999-05-27  15.1 SPY    129. -0.0144 -0.0412   -0.0503   0.0405       NA       NA       NA <NA>     NA    NA       NA
3 1999-05-28  15.1 SPY    130.  0.0128 -0.0236   -0.0308   0.0508       NA       NA       NA <NA>     NA    NA       NA
4 1999-06-01  15   SPY    130. -0.0035 -0.0105   -0.0263   0.0565       NA       NA       NA <NA>     NA    NA       NA
5 1999-06-02  15   SPY    130.  0.001   0.0068   -0.0428   0.0519       NA       NA       NA <NA>     NA    NA       NA
6 1999-06-03  15   SPY    131.  0.0055  0.00120  -0.0236   0.0445       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart